Stochastic Methods in Finance
| Title | ΣΤΟΧΑΣΤΙΚΕΣ ΜΕΘΟΔΟΙ ΣΤΑ ΧΡΗΜΑΤΟΟΙΚΟΝΟΜΙΚΑ / Stochastic Methods in Finance |
| Code | 0562 |
| Faculty | Sciences |
| School | Mathematics |
| Cycle / Level | 1st / Undergraduate |
| Teaching Period | Winter |
| Coordinator | Alexandra Papadopoulou |
| Common | No |
| Status | Active |
| Course ID | 40000528 |
Programme of Study: UPS of School of Mathematics (2014-today)
Registered students: 270
| Orientation | Attendance Type | Semester | Year | ECTS |
|---|---|---|---|---|
| Core | Elective Courses | Winter | - | 5 |
| Academic Year | 2020 – 2021 |
| Class Period | Winter |
| Faculty Instructors |
|
| Weekly Hours | 3 |
| Class ID | 600166640
|
Course Type 2016-2020
- Scientific Area
Course Type 2011-2015
Knowledge Deepening / Consolidation
Mode of Delivery
- Face to face
Digital Course Content
- e-Study Guide https://qa.auth.gr/en/class/1/600166640
Erasmus
The course is also offered to exchange programme students.
Language of Instruction
- Greek (Instruction, Examination)
Prerequisites
General Prerequisites
Basic knowledge in Probability theory and stochastic processes
Learning Outcomes
Learning and analysing basic knowledge of stochastic finance theory and stochastic processes applied to financial models.
Solving problems in finance using theoretical tools.
Μodelling by applying stochastic finance tools
General Competences
- Apply knowledge in practice
- Retrieve, analyse and synthesise data and information, with the use of necessary technologies
- Make decisions
- Design and manage projects
- Advance free, creative and causative thinking
Course Content (Syllabus)
Introduction to probability theory - rates, time value of money – Options
and derivatives - Options evaluation - Conditional mean value - Martingales - Selffinanced
processes - Brownian motion - The Black-School model - Stochastic differential
equations - Stochastic integration - Evaluation of the European option.
Keywords
Options, derivatives, Options evaluation, Conditional mean value, Martingales, Selffinanced processes
Educational Material Types
- Book
Use of Information and Communication Technologies
Use of ICT
- Use of ICT in Communication with Students
Description
Communication via webmail platform for further explanations, answers to questions concerning the subject
Course Organization
| Activities | Workload | ECTS | Individual | Teamwork | Erasmus |
|---|---|---|---|---|---|
| Lectures | 39 | 1.3 | ✓ | ||
| Reading Assigment | 108 | 3.6 | |||
| Exams | 3 | 0.1 | |||
| Total | 150 | 5 |
Student Assessment
Description
Written examination
Student Assessment methods
- Written Exam with Problem Solving (Formative, Summative)
Bibliography
Course Bibliography (Eudoxus)
- Στοχαστικά Χρηματοοικονομικά, Π.-Χ. Βασιλείου, Ζήτη, 2001.
- Στοχαστικές Διαφορικές Εξισώσεις με Εφαρμογές στα Χρηματοοικονομικά, Σπηλιώτης Ι., 2004
Last Update
15-03-2020
